A scan across several technical indicators detected a spike in outsized volume yesterday (March 11, 2024) across a relatively large proportion of the top crypto assets. We define the threshold for this metric as exceeding a Z-score of 2 on the rolling 30-day volume.
The graphic above shows a technical strategy matrix, where each row represents a particular technical indicator (outsized volume, Moving Average Convergence/Divergence [MACD], Momentum, Relative Strength Index [RSI], and DeMark Sequential), and each column represents an individual crypto asset.
Each asset is categorized (and therefore colored) by its sector classification (e.g. BNB is colored green, as it is categorized as an L1 asset). Further, the number within each cell represents how many days ago that particular technical indicator was triggered, relative to the current date. It is for this reason that we are reporting today (March 12) that all of the outsized volume activity occurred yesterday (March 11), and thus the graphic shows a “-1” in each cell of that row.
Backtesting the Forward Returns
Knowing that a significant volume event is occurring is only half the battle, so let’s see how well each of the seven triggered assets have historically performed over the next 30 days following the event.
On average, each asset has performed quite well over the next 30 days each time this volume spike has been observed. The lowest performer at the 30 day mark was LTC (10.8%), while the highest performer was AVAX (60.6%).
The median returns offer a different perspective, however. At the 30 day mark, the lowest performer was TON (-2.1%), while the highest performer was AVAX (12.3%).
Note that this strategy matrix is a new and experimental study that we are actively developing, and it will evolve over time. Please comment below if you have any suggestions for improvements.
